Portfolio choice under noisy asset returns

DOI10.1016/S0165-1765(96)00890-7MaRDI QIDQ673303zbMATH OpenFDO

Authors Christian Gollier, Harris Schlesinger

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Portfolio choiceIncreases in riskStandard risk aversion

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Portfolio allocation and asset demand with mean-variance preferences
• Portfolio choices: comparative statics under both expected return and volatility uncertainty
• Portfolio choices and asset prices: the comparative statics of ambiguity aversion
• Portfolio Choices in the Presence of Other Risks
• Portfolio choice for increases in risk and prudence revisited

Cites work

• A Ratio Criterion for Signing the Effects of an Increase in Uncertainty
• A tale of two tails: an alternative characterization of comparative risk
• Changes in Background Risk and Risk Taking Behavior
• Comparative statics under uncertainty for a class of economic agents
• Demand for risky financial assets: A portfolio analysis
• First and Second Degree Transformations and Comparative Statics Under Uncertainty
• Increases in Risk and Linear Payoffs
• Increases in prudence and increases in risk aversion
• Mean-preserving Portfolio Dominance
• Necessary conditions for comparative statics under uncertainty
• Risk Vulnerability and the Tempering Effect of Background Risk
• Standard Risk Aversion
• Strong Increases in Risk and Their Comparative Statics
• The Effects of Shifts in a Return Distribution on Optimal Portfolios
• The Efficiency Analysis of Choices Involving Risk
• The comparative statics of changes in risk revisited

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